Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters

Andrés Mauricio Gómez Sánchez () and José Gabriel Astaíza-Gómez

Revista Finanzas y Politica Economica, 2015, vol. 7, issue 1, 109-129

Abstract: ABSTRACT This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward for each filter, incorporating monthly data from 2008 to 2014. This reveals better adjustments in the case of the Kalman filter. Furthermore, the models show that the relationship between variables that reflect economic activity and ERP are counter-cyclical but not simultaneous, with a lag of up to two periods.******Este artículo pretende indagar por la relación existente entre la prima por riesgo ex post (ERP) del mercado accionario colombiano y los ciclos económicos observados para este país, a través de las metodologías del filtro mecánico de Hodrick-Prescott y el filtro de Kalman. Así, se plantea un modelo econométrico a corto plazo para cada uno de los filtros, con información mensual desde 2008 a 2014, lo que permite evidenciar mejores ajustes en el caso Kalman. Los modelos muestran que la relación entre las variables que capturan la actividad económica y la ERP resultó ser contra cíclica pero no contemporánea, con rezagos de hasta dos periodos.

Keywords: risk premium; economic activity; economic cycle; Kalmanfilter; Hodrick-Prescott filter; Colombian stock market. prima por riesgo; actividad económica; ciclo económico; filtro de Kalman; filtro de Hodrick-Prescott; mercado accionario colombiano. (search for similar items in EconPapers)
JEL-codes: D91 E21 E32 E44 G11 G12 G14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:col:000443:012602

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